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The Joint Estimation of Term Structures and Credit Spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10010324679
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The term structure of risk premia: new evidence from the financial crisis
Berg, Tobias - 2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10011605211
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The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds
Schuster, Philipp; Uhrig-Homburg, Marliese - 2012
We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...
Persistent link: https://www.econbiz.de/10010310876
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The equity premium and the volatility spread: The role of risk-neutral skewness
Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009
for option pricing and show that the information content of skewness leads to improved in-sample and out-of-sample pricing … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … and does not offer sufficient flexibility to match the skewness and kurtosis implicit in option data. Finally, we document …
Persistent link: https://www.econbiz.de/10010279907
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Correlation between intensity and recovery in credit risk models
Gaspar, Raquel M.; Slinko, Irina - 2005
We start by presenting a reduced-form multiple default type of model and derive abstract results on the influence of a state variable X on credit spreads, when both the intensity and the loss quota distribution are driven by X. The aim is to apply the results to a concrete real life situation,...
Persistent link: https://www.econbiz.de/10010281231
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
equity indexes or dividends). Average term structures reflect the dynamics of the dollar pricing kernel, of cash flow growth …
Persistent link: https://www.econbiz.de/10011538004
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The Term Structure of Illiquidity Premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Universität <Köln> / Wirtschafts- und …; … - 2009
This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement of short-, medium-, and long-termilliquidity premia and identify economic factors determining them. Our resultsshow that the term structure of illiquidity premia is U-shaped on...
Persistent link: https://www.econbiz.de/10008911533
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Ambiguity Aversion and the Term Structure of Interest Rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10005858032
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Optimal Investment in Variance Swaps Under Stochastic Volatility
Egloff, Daniel; Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich> - 2006
structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …
Persistent link: https://www.econbiz.de/10005858375
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Libor Market Model with Regime-Switching Volatility
Elliott, Robert; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2004
This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the volatility is modelled by a square root process with a...
Persistent link: https://www.econbiz.de/10005858810